*with Full Tilt Poker you must click the "Save My Hand Histories" box for them to be saved to your machine, the box is located in the "Main Menu" under "Options" and the last option titled "Hand History..." once open you can click the "Save My Hand Histories" box.

*for Poker Stars to save hand histories to your machine, log into the "Main Menu", click the "Options" tab, then close to the bottom the "Instant Hand History Options..."
There you can click the "Save My Hand History" box.

On both sites once in the Hand History menu you can choose where to save the Hand History files on your computer and also to set the length of time in which to save hand histories.